I would like to capture the dependence between returns using regime switching copulas and I'd like to know if there is any code currently available.
More in details, I would like to estimate the maximum likelihood estimates using the EM algorithm displayed in Hamilton in particular. In the framework, we consider two states of the economy, each one characterized by a certain copula and dependence parameter.
Thank you very much in advance.
http://www.cassknowledge.com/sites/default/files/article-attachments/modeling-dependence-copula-markov-cass-knowledge.pdf has an appendix describing how to do the model.
There appears to be some matlab code when you google "Markov Regime Switching Copulas'. Also, maybe you can directly reach out to either Jakob Stober or Claudia Czado who wrote the article 'Regime switches in the dependence structure of multidimensional financial data' Since they published in Computational Statistics and Data Analysis, they very likely have build some statistical tools that you might find helpful. I can't seem to find a free source of the above article, so I can't tell you precisely if that is the case.
I was able to get a copy of the paper referenced above. There is no mention of the modeling software. An earlier paper by Czado does reference R software where copula R-vines are modeled.
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